Some that I really like and are generally considered to be very good:
The Sorrow and the Pity (1969, dir: Marcel Ophuls) - about Nazi occupied France during the Second World war, in particular the French Resistance and the Vichy government of France who collaborated with the Nazis. Extra points because Woody Allen tries to get Annie Hall to see it in that movie Annie Hall.
Shoah (1985, dir: Claude Lanzmann) - 9 hour documentary about the Holocaust that does not use any archive footage. Lanzmann visits places across Europe, including former death camps, meets victims now living all over the world, witnesses (including now grown up Polish farm boys who would shout things at trainloads of Jews as they went past on their way to Treblinka) and even the perpetrators (he tracks down a former concentration camp guard and secretly films him).
Waltz with Bashir (2008, dir: Air Folman) - An animated documentary about Folman's own experiences of Israel's 1982 invasion of Lebanon. An absolutely superb film, and completely unique in execution.
Instrument (1998, dir: Jem Cohen) - Jem Cohen has been following the band Fugazi around since their beginnings, culminating in this brilliant film. Maybe only interesting to fans of the band, though I think it's one of the best rock documentaries around, showing the unique position Fugazi forged for themselves, and completely eschewing the usual 'talking heads' mode of rock music films.
Encounters at the End of the World (2009, dir: Werner Herzog) - Herzog documents the people who choose to live in the wilderness of Antarctica, and leaves no doubt that he will not come up with another film about penguins.
Grizzly Man (2005, dir: Werner Herzog) - I think everybody's seen this. But y'know, a guy who went and lived with bears in Alaska makes for interesting documentary subject matter.
Touching the Void (2003, dir: Kevin Macdonald) - Joe Simpson and Simon Yates tell the story of their perilous climb, terrible accident and unbelievable escape from a mountain climbing trip in Peru. Joe Simpson's book of the same name is a great read too.
When We Were Kings (1996, dir: Leon Gast) - About the Rumble in the Jungle in Zaire between Muhammad Ali and George Foreman. Norman Mailer's there too!
Capturing the Friedmans (2003, dir: Andrew Jarecki) - Intimate home video footage tells the story of a family ripped apart by allegations child molestation in the 80s.
Hearts of Darkness: A Filmmakers Apocalypse (1991, dir: Fax Bahr, George Hickenlooper, Eleanor Coppola) - The legendary story of the making of Francis Ford Coppola's Apocalypse Now. Watch as Coppola slowly goes insane, Brando turns up fat, sets are destroyed by storms, water buffalo are slaughtered, Hopper is on drugs, Sheen gets drunk and cries, and the Filippino army take all their helicopters away mid-shot.
1991: The Year Punk Broke (1992, dir: David Markey) - On the road with Sonic Youth and Nirvana in 1991!
No Direction Home (2005, dir: Martin Scorsese) - Scorsese on Dylan.
Man on Wire (2008, dir: James Marsh) - A french wire walker plots to throw a wire between the twin towers of the World Trade Centre and walk across in the 1970s. Hiring a team of accomplices, he manages to do it by fooling security guards and evading police. A wonderful story, brilliantly tense, and just...wow!
The Fearless Freaks (2006, dir: Bradley Beasley) – The story of one of my all time favourite bands, the Flaming Lips. Again, perhaps only of real interest to Lips fans, but it’s a great (and wonderfully implausible) story nonetheless.
The Devil and Daniel Johnston (2005, dir: Jeff Feuerzeig) – Perhaps one of the few indie rock documentaries that really would interest just about anyone and not just fans of the subject, mainly because of the incredible story of Daniel Johnston himself, a guy who recorded songs in his bedroom on a tape recorder, whose lo-fi pop became a little bit famous when he blagged his way onto MTV and then his t-shirt was later worn by Kurt Cobain. Also he suffers from manic depression and at one point is flying in a plane with his dad and throws the keys out the window causing them to crash.
I can't think of any documentaries on Russia or the Russian revolution. Frisky Skeleton mentioned Potemkin (maybe they were joking cos its not a documentary, but well worth seeing anyway, as are Eisenstein's other two main films about the Russian Revolution: Strike and October: Ten Days that Shook the World). Oh, there's Man With a Movie Camera, a 1929 silent experimental documentary about life in Russia. It's probably available online somewhere. If you're interested in World War 2, the World at War series narrated by Lawrence Olivier is a classic, and Night and Fog is probably the first documentary film about the Holocaust.
I've heard good things about Hoop Dreams and King of Kong, but haven't seen them. And y'know you've also got your Michael Moore documentaries whic are very popular and pretty entertaining, but I wouldn't nessecarily put them up on a best of list.